The only problem with this is that someone at Mt. Gox could potentially know or discover the symmetric key for the YubiKey you purchased through them. The keys loaded onto YubiKeys purchased directly from Yubico are neither available to Yubico employees nor to you, the user, and are stored securely with Yubico via their YubiHSM devices. Mt. Gox may be using similar hardware to secure the keys for their YubiKeys, but we don't know how securely their YubiKeys are programmed or exactly how the keys are stored by Mt. Gox. Without this knowledge, which we have with reasonable certainty in the case of YubiKeys straight from Yubico, we can assume that the YubiKeys sold my Mt. Gox are either as secure as those sold by Yubico or less secure.
My thought is that Mt. Gox insists on programming their branded YubiKeys themselves so that they do not depend on Yubico's YubiCloud service for their customers' ability to authenticate with their servers. Right now, YubiCloud authentication is free, and Yubico offers a paid option that guarantees YubiCloud uptime and availability, but IMHO the SLA price is high (right now $3/YubiKey/year). This way, Mt. Gox can take it upon themselves to guarantee availability of the YubiKey authentication service and not depend on Yubico at all.
I agree that it would be nice if we could use our own (non-MtGox-branded) YubiKeys with their service. One of the problems with regular old passwords is that you have to have so many of them to make sure that the compromise of one doesn't affect all the others. Strong two-factor authentication devices like YubiKeys were supposed to partially solve this problem, but now we're seeing an increasing number of services that require you to purchase a specially-branded YubiKey to work with their servers. The resulting keychainfull of YubiKeys is arguably worse (and definitely more expensive) than a USB drive full of passwords.
Without speculation, only MtGox can answer that question definitively. – Colin Dean – 2013-01-18T16:20:51.373